Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0499
Annualized Std Dev 0.1914
Annualized Sharpe (Rf=0%) 0.2608

Row

Daily Return Statistics

Close
Observations 3863.0000
NAs 1.0000
Minimum -0.1139
Quartile 1 -0.0050
Median 0.0009
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0062
Maximum 0.1316
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0121
Skewness 0.0263
Kurtosis 16.5155

Downside Risk

Close
Semi Deviation 0.0088
Gain Deviation 0.0085
Loss Deviation 0.0096
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0086
Downside Deviation (0%) 0.0086
Maximum Drawdown 0.4581
Historical VaR (95%) -0.0173
Historical ES (95%) -0.0288
Modified VaR (95%) -0.0155
Modified ES (95%) -0.0155
From Trough To Depth Length To Trough Recovery
2007-05-22 2009-03-09 2014-02-20 -0.4581 1697 453 1244
2020-02-19 2020-03-23 NA -0.3600 275 24 NA
2017-12-01 2018-02-08 2018-11-12 -0.1749 239 47 192
2015-01-30 2015-09-04 2016-03-09 -0.1636 273 150 123
2016-07-07 2016-11-10 2017-05-25 -0.1326 224 90 134

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA -1.8 0.8 -0.4 -1.5
2006 0.4 0.2 -0.7 -0.6 1.9 0.7 0.8 0.2 -1.3 0 0.1 -0.7 1
2007 0.7 0.5 -0.5 1.4 -0.1 0.1 2.2 0.1 1.6 -1.9 -0.5 -0.5 3.2
2008 1.4 -3 2.5 1.2 0.2 0.5 -0.7 -1.4 0.6 -1 -6.4 1.7 -4.8
2009 -2 -1.4 -0.2 1.8 3.4 1.7 -1 -0.7 -1.3 -1.9 1.7 -1.7 -1.8
2010 0.8 1.3 1.1 -0.3 -2.3 -0.5 -0.7 2 0.9 -1.2 1.5 -0.4 2
2011 1 -0.9 0.7 0.4 -1.3 1.4 0.5 -0.7 -1 -3 0.1 -0.1 -3
2012 1.1 0.1 0.5 0.7 -1.6 0.6 0.1 0.1 -0.4 0.3 0.8 1.2 3.5
2013 1.2 0 -0.3 -0.9 -0.5 -0.9 0.3 -0.5 0.9 -0.1 0.3 0.4 0.1
2014 0.1 0.9 -0.3 0.2 0.1 -0.4 -0.1 0.7 0.2 0.3 -0.2 -1.1 0.3
2015 -1.3 0.2 0.3 0.1 0.1 0 1.2 -1.7 -1.2 1.4 0.2 -0.8 -1.8
2016 0.8 -0.4 0.4 0.7 0.5 -0.2 0 -0.4 -0.6 -1.9 -1.2 -0.5 -2.9
2017 -1.6 0.1 0.5 -0.5 0.7 0.1 0.8 -0.1 -0.7 -0.6 -0.3 0.6 -0.9
2018 -1.4 -0.6 0.4 -0.2 -1.3 0.2 -1.3 -0.3 -0.4 0 1.5 0.9 -2.5
2019 -1 0.4 -0.8 -0.9 0.7 -0.2 0.8 0.3 -0.4 0 -0.3 0.3 -1
2020 -0.3 -4.6 -5.8 -2.9 0.2 1.8 0.1 -1.6 0.4 -0.9 0.6 1.5 -11.1
2021 0.7 1.6 0.9 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-10-26  15.4 SPY    119. -0.00290  -0.0034  -0.0179  -0.0417   0.0575    0.323   -0.143 GLD    46.9 -0.0028   0.0127
2 2005-10-27  15.3 SPY    118. -0.0106    0.0037  -0.0293  -0.0456   0.0431    0.318   -0.156 GLD    47.2  0.0053   0.0261
3 2005-10-28  15.5 SPY    120.  0.0144    0.0141  -0.0233  -0.0311   0.0583    0.353   -0.148 GLD    47.2  0.0008   0.015 
4 2005-10-31  15.7 SPY    120.  0.0028    0.0014  -0.0237  -0.0342   0.0583    0.343   -0.139 GLD    46.4 -0.0174   0.0002
5 2005-11-01  15.4 SPY    120.  0.003     0.0064  -0.0172  -0.0339   0.0611    0.361   -0.116 GLD    45.7 -0.0144  -0.0283
6 2005-11-02  15.4 SPY    122.  0.0105    0.0199   0.0044  -0.0159   0.0589    0.349   -0.109 GLD    46.1  0.0087  -0.017 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart